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Absolute beginner here, strategy not working, any help greatly appreciated!
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Created: by alecsaccount Attachments:11

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Absolute beginner here, strategy not working, any help greatly appreciated!

  #11 (permalink)
Elite Member
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trendwaves View Post
Can you please post a chart with the entry and exit markers and text enabled so we can see what is happening on your chart with the missed exits.

I would, but I'm about to be late for dinner with my mom, and I just switched to Windows, so I'm having a little trouble finding where it dumps your photos when you hit Alt + Print Screen.

Sorry.. I'll post it when I get back.

What do you mean by text enabled?

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  #12 (permalink)
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alecsaccount View Post
I would, but I'm about to be late for dinner with my mom, and I just switched to Windows, so I'm having a little trouble finding where it dumps your photos when you hit Alt + Print Screen.

Sorry.. I'll post it when I get back.

What do you mean by text enabled?

You can save a chart image to a file from inside NinjaTrader, no need to do Alt Print Screen. Right click in the chart window and select "Save Chart Image" from the popup menu. You can then add the saved chart image to your post here.

"Text Enabled" means how the trade executions are notated on the chart. To control this feature right click in the chart window and select "Data Series", at the bottom of the Data Series dialog bog is a selection called "Plot executions" , select that and choose "Text and marker" from the pull down menu.

Enjoy your dinner.

Be Patient and Trade Smart
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  #13 (permalink)
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trendwaves View Post
You can save a chart image to a file from inside NinjaTrader, no need to do Alt Print Screen. Right click in the chart window and select "Save Chart Image" from the popup menu. You can then add the saved chart image to your post here.

"Text Enabled" means how the trade executions are notated on the chart. To control this feature right click in the chart window and select "Data Series", at the bottom of the Data Series dialog bog is a selection called "Plot executions" , select that and choose "Text and marker" from the pull down menu.

Enjoy your dinner.

So maybe you're using a different version or something; I couldn't find "data series" anywhere. I'll post again if you can tell me where to find that data series thing in NT8 backtest charts.

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like I said, it doesn't happen very often.. These were kinda tough to find.

I just ate a lot of pizza.. It's getting hard to keep my eyes open, I'm gonna have to pick this up tomorrow.


Last edited by alecsaccount; December 11th, 2016 at 11:42 PM. Reason: sleepy time
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  #14 (permalink)
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a few more examples

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It seems to only happen when the wick crossed the band but the candle did not. I know NT7 backtesting doesn't check intra-bar, but NT8 has an option for high order fill resolution which I have set to 1 tick, so this shouldn't be happening, right?

It's also missing a lot of entries, regardless of whether the open/close of the bar is past the band.

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Last edited by alecsaccount; December 14th, 2016 at 12:42 AM.
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  #15 (permalink)
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Strategy

Attached Files
Register to download File Type: cs MyCustomStrategy.cs (3.0 KB, 8 views)
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  #16 (permalink)
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Playback not working;

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Edit: Okay, I was wrong; I actually did get it to load the days I wanted! Sorry for the confusion..

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As you can see, on the market replay it missed 1 exit, but caught the second one, which it missed on the backtest-

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So I guess my question is why did this happen, and how can I make the backtests work properly? It would take a while to get the same results using market replay.


Last edited by alecsaccount; December 15th, 2016 at 01:30 PM.
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  #17 (permalink)
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That is odd, it missed two exits.

Let me download that data and run it through MR.

You can speed up Market Replay to 100x normal speed, agreed it's cumbersome for this type of effort but since the backtest is not working we need to try a different path to debug the strategy.

Be Patient and Trade Smart
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  #18 (permalink)
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trendwaves View Post
That is odd, it missed two exits.

Let me download that data and run it through MR.

Is there a way to do that where you don't have to download each day individually?


trendwaves View Post
You can speed up Market Replay to 100x normal speed, agreed it's cumbersome for this type of effort but since the backtest is not working we need to try a different path to debug the strategy.

You can actually crank it up to 1000.


trendwaves View Post
debug the strategy.

So it's definitely a problem with the strategy that is messing with the backtest accuracy? As in something we can fix? That would make my day.. I reaaally don't want to run this through MR every time I test. Thanks again for your time!

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  #19 (permalink)
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I played around with this in Market Replay off and on for a couple of hours and came up with a couple of versions.

Version One is as stripped down as I can make it. You can at least use it to learn how replay, backtest,
and live relate to each other. Also you can use it to compare with anything new you come up with.

Version Two gives you more flexibility with the entry and exit rules.

I made a few little changes to help it along, one being setting the Calculate mode to
Calculate = Calculate.OnEachTick; which helps it to trigger a response right as the band
is crossed.

Be Patient and Trade Smart
Attached Files
Register to download File Type: cs BollingerStrategyTwo.cs (3.3 KB, 9 views)

Last edited by trendwaves; December 15th, 2016 at 10:50 PM. Reason: Remove Version One, will add again in a new message below.
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  #20 (permalink)
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trendwaves View Post
I played around with this in Market Replay off and on for a couple of hours and came up with a couple of versions.

Thank you so much.. I feel like I should be paying you. I'm going to run it right after this reply, and then I'll edit with an update.


trendwaves View Post
Version One is as stripped down as I can make it. You can at least use it to learn how replay, backtest,
and live relate to each other. Also you can use it to compare with anything new you come up with.

Version Two gives you more flexibility with the entry and exit rules.

Version One won't compile-

Line 6 column 11; NinjaTrader.NinjaScript.Strategies.Strategy.Bollinger(double, int)' is a 'method' but is used like a 'type'

Line 8 column 11; Type or namespace 'TimeSpan' could not be found (are you missing a using directive or an assembly reference?)

No idea what that means..


trendwaves View Post
I made a few little changes to help it along, one being setting the Calculate mode to
Calculate = Calculate.OnEachTick; which helps it to trigger a response right as the band
is crossed.

Yeah, that was one of the first things I tried.. I only had it set to Calculate = CalculateOnPriceChange because it still wasn't working.. but hopefully whatever else you did fixed it.

UPDATE; You fucking fixed it, you genius!! Ohh my god I am so happy. I don't even know what to say.. If you ever come to southern California, you have a place to stay. Cheers!


Last edited by alecsaccount; December 15th, 2016 at 09:16 PM. Reason: I'm sorry, version ONE won't compile.
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